Fonte: Yahoo Finance
Data Inicial: 2021-06-11
Data Final: 2021-09-04
Carteira: CPLE6.SA, TAEE3.SA, CMIG4.SA, EQTL3.SA, ENBR3.SA
Texto Justificado aqui
O banco contém 69 observações e 5 empresas.
| IBOVESPA | SOMA3.SA | HYPE3.SA | MGLU3.SA | WEGE3.SA | ITUB3.SA |
|---|---|---|---|---|---|
| -0.9362263 | -0.3742924 | -0.8947873 | -9.276700 | -0.4645170 | -0.6694001 |
| 1.8362820 | 3.0771659 | 0.9235246 | 1.502056 | 0.6188828 | 1.2975196 |
| -0.1917579 | 0.4233451 | -0.0287373 | -2.378992 | 1.2263797 | -0.8136140 |
| -0.9669515 | 1.0804427 | -1.5930793 | -2.436970 | 1.1613334 | -1.3834620 |
| -1.1090008 | 5.6859862 | -2.1246034 | -1.515640 | 0.1504941 | 0.0752766 |
| CoeficienteVariacao | MediaRetornos | Tipo | |
|---|---|---|---|
| IBOVESPA | -14.0886 | -0.1062 | Maior Retorno |
| MGLU3.SA | -3.4687 | -1.5300 | Maior Risco |
| MediaRetornos | Volatilidade | Tipo | |
|---|---|---|---|
| IBOVESPA | -0.1062 | 23.7570 | Maior Retorno |
| MGLU3.SA | -1.5300 | 84.2481 | Maior Volatilidade |
##
## Title:
## MV Efficient Portfolio
## Estimator: covEstimator
## Solver: solveRquadprog
## Optimize: minRisk
## Constraints: LongOnly
##
## Portfolio Weights:
## SOMA3.SA HYPE3.SA MGLU3.SA WEGE3.SA ITUB3.SA
## 0.0000 0.5635 0.0000 0.4365 0.0000
##
## Covariance Risk Budgets:
## SOMA3.SA HYPE3.SA MGLU3.SA WEGE3.SA ITUB3.SA
## 0.0000 0.5635 0.0000 0.4365 0.0000
##
## Target Returns and Risks:
## mean Cov CVaR VaR
## -0.2076 1.4495 3.7352 2.5093
##
## Description:
## Tue Dec 21 20:24:46 2021 by user:
##
## Title:
## MV Tangency Portfolio
## Estimator: covEstimator
## Solver: solveRquadprog
## Optimize: minRisk
## Constraints: LongOnly
##
## Portfolio Weights:
## IBOVESPA SOMA3.SA HYPE3.SA MGLU3.SA WEGE3.SA ITUB3.SA
## 1 0 0 0 0 0
##
## Covariance Risk Budgets:
## IBOVESPA SOMA3.SA HYPE3.SA MGLU3.SA WEGE3.SA ITUB3.SA
## 1 0 0 0 0 0
##
## Target Returns and Risks:
## mean Cov CVaR VaR
## 108375.360 4115.399 -101684.867 -102223.997
##
## Description:
## Tue Dec 21 20:17:24 2021 by user:
##
## Title:
## MV Minimum Variance Portfolio
## Estimator: covEstimator
## Solver: solveRquadprog
## Optimize: minRisk
## Constraints: LongOnly
##
## Portfolio Weights:
## IBOVESPA SOMA3.SA HYPE3.SA MGLU3.SA WEGE3.SA ITUB3.SA
## 0.0000 0.9324 0.0676 0.0000 0.0000 0.0000
##
## Covariance Risk Budgets:
## IBOVESPA SOMA3.SA HYPE3.SA MGLU3.SA WEGE3.SA ITUB3.SA
## 0.0000 0.9324 0.0676 0.0000 0.0000 0.0000
##
## Target Returns and Risks:
## mean Cov CVaR VaR
## 16.2692 1.6258 -13.8606 -14.0202
##
## Description:
## Tue Dec 21 20:17:24 2021 by user:
Frontier = portfolioFrontier(dados) Frontier;
##Gráfico da Fronteira Eficiente#### frontierPlot(Frontier, frontier = c(“both”), col = c(“blue”, “red”), add = FALSE,labels = TRUE, return = c(“mean”), risk = c(“Cov”), auto = TRUE, title = TRUE) ##Determinação da Variância Mínima minvariancePoints(Frontier, return = c(“mean”), risk = c(“Cov”), auto = TRUE)
cmlPoints(Frontier, return = c(“mean”), risk = c(“Cov”), auto = TRUE)
tangencyPoints(Frontier, return = c(“mean”), risk = c(“Cov”), auto = TRUE) tangencyLines(Frontier, return = c(“mean”), risk = c(“Cov”), auto = TRUE) equalWeightsPoints(Frontier, return = c(“mean”), risk = c(“Cov”), auto = TRUE) singleAssetPoints(Frontier, return = c(“mean”), risk = c(“Cov”), auto = TRUE)
monteCarloPoints(Frontier, mcSteps = 50, return = c(“mean”), risk = c(“Cov”), auto = TRUE)